Factor investing: a Bayesian hierarchical approach

DOI10.1016/j.jeconom.2021.11.001OpenAlexW3215745167MaRDI QIDQ2155315

Guanhao Feng, Jingyu He

Publication date: 15 July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.01015

zbMATH Keywords

Bayescharacteristicsasset allocationestimation riskrisk factorhierarchical priormacro predictors

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
• Common risk factors in the returns on stocks and bonds
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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